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Dacheng Xiu

Global rank #1480 98%

Institution: University of Chicago

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://dachxiu.chicagobooth.edu

First Publication: 2010

Most Recent: 2025

RePEc ID: pxi68 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 2.01 1.85 0.00 0.00 11.74
Last 10 Years 4.02 11.23 2.01 0.00 40.56
All Time 4.02 15.93 2.01 0.00 49.95

Publication Statistics

Raw Publications 25
Coauthorship-Adjusted Count 22.05

Publications (25)

Year Article Journal Tier Authors
2025 Test Assets and Weak Factors Journal of Finance A 3
2024 Nonstandard Errors Journal of Finance A 343
2021 Fundamental analysis and the cross-section of stock returns: A data-mining approach The Review of Financial Studies A 4
2021 Asset Pricing with Omitted Factors Journal of Political Economy S 2
2021 Autoencoder asset pricing models Journal of Econometrics A 3
2021 When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility Econometrica S 2
2020 High-frequency factor models and regressions Journal of Econometrics A 3
2020 Taming the Factor Zoo: A Test of New Factors Journal of Finance A 3
2020 Empirical Asset Pricing via Machine Learning The Review of Financial Studies A 3
2019 A Hausman test for the presence of market microstructure noise in high frequency data Journal of Econometrics A 2
2019 Principal Component Analysis of High-Frequency Data Journal of the American Statistical Association B 2
2019 Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data Journal of Econometrics A 3
2018 Resolution of policy uncertainty and sudden declines in volatility Journal of Econometrics A 2
2017 Using principal component analysis to estimate a high dimensional factor model with high-frequency data Journal of Econometrics A 2
2017 Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency Journal of the American Statistical Association B 2
2017 Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading Journal of Econometrics A 2
2016 Increased correlation among asset classes: Are volatility or jumps to blame, or both? Journal of Econometrics A 2
2016 Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data Journal of Business & Economic Statistics A 3
2016 A tale of two option markets: Pricing kernels and volatility risk Journal of Econometrics A 2
2016 Generalized Method of Integrated Moments for High‐Frequency Data Econometrica S 2
2016 Generalized Method of Integrated Moments for High‐Frequency Data Econometrica S 2
2014 Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods Journal of Business & Economic Statistics A 3
2014 Rejoinder Journal of Business & Economic Statistics A 3
2014 Hermite polynomial based expansion of European option prices Journal of Econometrics A 1
2010 Quasi-maximum likelihood estimation of volatility with high frequency data Journal of Econometrics A 1